Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0312 |
| Annualized Std Dev | 0.1183 |
| Annualized Sharpe (Rf=0%) | 0.2634 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3018.0000 |
| NAs | 1.0000 |
| Minimum | -0.0910 |
| Quartile 1 | -0.0033 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1040 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0075 |
| Skewness | 0.3424 |
| Kurtosis | 35.9462 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0053 |
| Gain Deviation | 0.0055 |
| Loss Deviation | 0.0058 |
| Downside Deviation (MAR=210%) | 0.0106 |
| Downside Deviation (Rf=0%) | 0.0053 |
| Downside Deviation (0%) | 0.0053 |
| Maximum Drawdown | 0.2795 |
| Historical VaR (95%) | -0.0101 |
| Historical ES (95%) | -0.0163 |
| Modified VaR (95%) | -0.0060 |
| Modified ES (95%) | -0.0060 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-09 | 2020-03-19 | 2020-07-15 | -0.2795 | 90 | 9 | 81 |
| 2012-10-16 | 2013-08-21 | 2015-01-15 | -0.1658 | 565 | 212 | 353 |
| 2015-02-02 | 2016-02-16 | 2019-08-02 | -0.1567 | 1134 | 262 | 872 |
| 2020-08-07 | 2021-03-18 | NA | -0.1221 | 156 | 154 | NA |
| 2010-08-27 | 2011-02-04 | 2011-09-22 | -0.1216 | 270 | 112 | 158 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | 0.1 | 0.3 | 0.4 | -1.3 | 0.7 | 0.2 | -0.1 | -0.6 | -1 | -0.3 | -1.7 |
| 2010 | -0.6 | -0.7 | -0.2 | 1 | -0.3 | -0.1 | 0.9 | -1.7 | -0.8 | -0.2 | -1.5 | 1.5 | -2.8 |
| 2011 | -0.5 | -0.6 | 0.3 | 0.6 | 0.3 | -0.3 | 0.6 | -0.2 | 0.9 | 0.7 | -0.2 | 0.1 | 1.7 |
| 2012 | -1.5 | -1.2 | -0.7 | -0.3 | 0.8 | -0.3 | -0.6 | 0.8 | -0.2 | -0.2 | -0.2 | -1.2 | -4.8 |
| 2013 | -0.7 | -0.4 | -0.1 | 0.3 | -0.9 | 0.4 | -1.3 | 0.2 | -0.7 | -1.2 | 0.1 | -0.3 | -4.7 |
| 2014 | -0.1 | 0.1 | -0.5 | 0.3 | -0.4 | -0.9 | -0.2 | 0.2 | 0.6 | 0 | -1.3 | -0.4 | -2.3 |
| 2015 | 1.2 | 0.6 | 0.6 | -1.2 | -1.4 | -0.9 | 1 | 0 | 0 | 0.8 | 0.8 | 0.4 | 1.8 |
| 2016 | -0.7 | -1.4 | 0.4 | 0.1 | 0 | 0.9 | -1.6 | -0.5 | -0.4 | -0.7 | -0.5 | 0.5 | -3.9 |
| 2017 | -0.7 | -1.7 | 0 | -1.2 | -0.5 | -0.3 | 0.1 | -0.8 | 0.5 | -0.2 | 0.6 | 0.1 | -4 |
| 2018 | -1.3 | -0.4 | 1 | -0.8 | -0.5 | 0 | -0.8 | -0.3 | -0.6 | -0.1 | 0 | 0.3 | -3.3 |
| 2019 | -0.8 | -0.7 | -1.1 | -0.3 | 0.5 | 0.1 | 0.9 | -0.3 | -0.2 | -0.2 | -0.3 | -0.6 | -2.9 |
| 2020 | 0.3 | 1.9 | -1.1 | -1.1 | -0.6 | 0.3 | 0.1 | 0.7 | 0.3 | -0.8 | -0.9 | 0.1 | -0.9 |
| 2021 | 0 | -0.5 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-03-11 20.5 SPY 72.6 0.0065 0.0127 -0.166 -0.202 -0.452 -0.430 -0.366 GLD 89.2 0.0123 0.0026
2 2009-03-12 20.1 SPY 75.5 0.0394 0.0974 -0.0916 -0.156 -0.425 -0.413 -0.329 GLD 91.1 0.0211 -0.00960
3 2009-03-13 20.2 SPY 76.1 0.0078 0.104 -0.0898 -0.156 -0.422 -0.409 -0.315 GLD 91.3 0.0022 -0.0107
4 2009-03-16 20.2 SPY 75.9 -0.003 0.114 -0.0932 -0.137 -0.415 -0.417 -0.326 GLD 90.8 -0.0055 0.0025
5 2009-03-17 20.2 SPY 78.2 0.0306 0.0833 -0.0553 -0.122 -0.391 -0.402 -0.297 GLD 90.0 -0.0084 0.0216
6 2009-03-18 20.1 SPY 79.9 0.0224 0.100 0.009 -0.0891 -0.402 -0.39 -0.285 GLD 93.1 0.0339 0.0434
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
